Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Iberdrola SA backtest
10 trend-following strategies were compared on the full daily history of Iberdrola SA. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -39.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.1%, drawdown -77.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -39.1%, Sharpe 0.50, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 38.6%p (CAGR 7.3%, MDD -39.1%, exposure 66%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=207 |
7.3% | -39.1% | 0.50 | 0.19 | 6.5x | 33 | 66% |
| EMA 크로스오버 fast=50, slow=172 |
4.5% | -54.0% | 0.35 | 0.08 | 3.2x | 43 | 66% |
| ROC 모멘텀 n=167, threshold=-0.05 |
4.6% | -47.5% | 0.34 | 0.10 | 3.3x | 159 | 76% |
| Donchian 채널 돌파 entryN=70, exitN=70 |
3.9% | -55.3% | 0.33 | 0.07 | 2.8x | 43 | 61% |
| Supertrend period=18, mult=3.9 |
1.2% | -66.1% | 0.16 | 0.02 | 1.4x | 128 | 60% |
| 볼린저 밴드 돌파 n=44, k=1.5 |
0.9% | -50.1% | 0.13 | 0.02 | 1.3x | 172 | 42% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=11, mult=3.3 |
0.5% | -32.7% | 0.10 | 0.02 | 1.1x | 64 | 15% |
| Parabolic SAR step=0.01, maxStep=0.04 |
0.2% | -67.1% | 0.09 | 0.00 | 1.0x | 270 | 56% |
| ADX / DI 방향성 period=20, threshold=24 |
0.1% | -31.6% | 0.05 | 0.00 | 1.0x | 100 | 15% |
| MACD fast=23, slow=60, signal=22 |
-1.8% | -78.5% | -0.04 | -0.02 | 0.6x | 270 | 50% |
| Buy and hold | 7.1% | -77.7% | 0.40 | 0.09 | 6.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 55-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 55-day average falls below the 207-day average